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August 2008

Equity volatility: The technicalities of a variance swap

by John Ferry

An investment research paper (Conditional Variance Swaps, Product Note, JPMorgan Securities, April 3 2006) by analysts at JPMorgan explains how variance swaps emerged.


Equity volatility: Betting on turbulenceEquity volatility: Strategies The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out price movements in the underlying asset...


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